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Crypto Market Data Datasets

L2 order books, tick trades, ticker statistics, liquidations, open interest, funding rates. Hourly Parquet files from 9 exchanges.

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9

Exchanges

15

Venue IDs

6

Data types

2025-06-28

History since

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Exchange

Data type

Binance · Order Book

Binance Historical Order Book Data (Spot & Futures)

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History start: 2025-06-28
Symbols: 2,972
Venue IDs: binance_futuresUSDⓈ-M futuresbinance_spotSpot

binance_futures/2026-09-02/12/BTCUSDT_orderbook.parquet5,451,975 rows

received_time	event_time	transaction_time	symbol	event_type	first_update_id	final_update_id	prev_final_update_id	last_update_id	side	price	quantity	order_count
1788350400007361359	1788350399886	1788350399885	BTCUSDT	update	11454752530038	11454752532647	11454752529739	null	bid	26288.50	0.119	null
1788350400007361359	1788350399886	1788350399885	BTCUSDT	update	11454752530038	11454752532647	11454752529739	null	ask	76788.60	2.682	null
1788350400007361359	1788350399886	1788350399885	BTCUSDT	update	11454752530038	11454752532647	11454752529739	null	bid	26488.50	0.028	null

From exchange message to row

Exchange sends

WebSocket message · <symbol>@depth@0msreceived 2026-10-05 19:01:38.340225 UTC

{
  "stream": "btcusdt@depth@0ms",
  "data": {
    "e": "depthUpdate",
    "E": 1791226898196,
    "T": 1791226898194,
    "s": "BTCUSDT",
    "ps": "BTCUSDT",
    "U": 11742309239582,
    "u": 11742309241602,
    "pu": 11742309239523,
    "b": [
      ["85547.70", "0.020"],
      ["85580.30", "0.355"]
    ],
    "a": [
      ["85601.90", "2.784"],
      ["85605.10", "0.001"],
      ["85723.10", "0.000"]
    ],
    "st": 1
  }
}

Shortened: Binance sent 14 bid levels and 8 ask levels in this message. This example shows the two highest bids and the three lowest asks.

You download

Parquet row · orderbook · 1 of 5 rows from this message

Point at a line in the message or a column in the row to trace where each value comes from. Click a column to pin it.

Our tests replay this message through the production pipeline

All Binance Futures mapping rules →

Columns · 13

received_time: INT64
event_time: INT64
transaction_time: INT64?
symbol: STRING
event_type: STRING
first_update_id: INT64?
final_update_id: INT64?
prev_final_update_id: INT64?
last_update_id: INT64?
side: STRING
price: STRING
quantity: STRING
order_count: INT64?

binance_orderbook.py

1import cryptohftdata as chd
2
3client = chd.CryptoHFTDataClient(api_key="YOUR_API_KEY")
4
5df = client.get_orderbook(
6    symbol="BTCUSDT",
7    exchange=chd.exchanges.BINANCE_FUTURES,
8    start_date="2026-09-02",
9    end_date="2026-09-02",
10)
11
12print(df.head())